Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,721 on November 2, 2026, offering SPXFP Dual Directional Trigger PLUS securities linked to the S&P 500 Futures Excess Return Index and maturing December 4, 2031.

Key Highlights

  • Issuer and guarantor: The securities are issued by Morgan Stanley Finance LLC and guaranteed by Morgan Stanley.
  • Underlier: Performance is linked to the S&P 500 Futures Excess Return Index (SPXFP), measured solely on the observation date of December 1, 2031.
  • Leverage factor: The upside leverage factor is stated as 217.50% to 232.50%, with hypothetical upside examples calculated at 217.50%.
  • Downside threshold: The downside threshold level is 60% of the initial level; losses begin only if the underlier falls below that threshold at the observation date.
  • Estimated value: The estimated value is $964.30 per security, or within $55.00 of that estimate, against a stated principal amount of $1,000.
  • No principal protection: According to the filing, "The securities do not guarantee the return of any principal and do not pay interest."
  • CUSIP: 61781TMM2; pricing date is November 30, 2026.

Structure and Hypothetical Payoff Details for SPXFP Dual Directional Trigger PLUS

According to the filing, Morgan Stanley Finance LLC is offering structured notes under Registration Statement Nos. 333-293641 and 333-293641-01. The securities carry a maturity date of December 4, 2031, with performance determined on the observation date of December 1, 2031. The upside scenario applies a leverage factor of 217.50% to 232.50%, while the absolute return participation rate for modest underlier depreciation is 50%. The downside threshold level is set at 60% of the initial level of the underlier.

The filing provides hypothetical payment examples per security. If the underlier appreciates 5%, investors would receive $1,108.75, or 110.875% of stated principal. If the underlier depreciates 5% but remains above the threshold, investors would receive $1,025.00, or 102.50% of stated principal, reflecting the absolute return feature. However, if the underlier depreciates 85%, investors would receive only $150.00, or 15% of stated principal, representing a loss of 85%. At a 100% decline, the payment would be $0.00. The filing also shows that a 40% decline would yield $1,200.00 per security, while a 41% decline, breaching the threshold, would yield only $590.00.

The filing discloses several risk considerations. It states that the estimated value of $964.30 per security is less than the $1,000 original issue price, with costs of "issuing, selling, structuring and hedging the securities" included in the original issue price reducing the economic terms. The securities will not be listed on any securities exchange, and secondary trading may be limited. All payments are described as subject to the credit risk of Morgan Stanley. The U.S. federal income tax consequences are noted as uncertain in the filing.

What Was Disclosed

Morgan Stanley Finance LLC filed a free writing prospectus for Preliminary Pricing Supplement No. 19,721, describing the terms, hypothetical payoffs, estimated value, and risk factors of the SPXFP Dual Directional Trigger PLUS notes due December 4, 2031, linked to the S&P 500 Futures Excess Return Index.